Measuring liquidity with return volatility: An analytical approach based on heavy-tailed Censored-GARCH model
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference44 articles.
1. A simple estimation of bid-ask spreads from daily close, high, and low prices;Abdi;The Review of Financial Studies,2017
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3. Why cryptocurrency markets are inefficient: The impact of liquidity and volatility;Al-Yahyaee;The North American Journal of Economics and Finance,2020
4. Asset pricing and the bid-ask spread;Amihud;Journal of Financial Economics,2006
5. Shaping liquidity: On the causal effects of voluntary disclosure;Balakrishnan;Journal of Finance,2014
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